Stress Testing Model Symposium
The Federal Reserve and Board of Governors are organizing a symposium on best practices and challenges as they relate to stress testing. The goal of the symposium is to improve our understanding of how to develop a robust stress testing framework. Some of the questions that will be discussed include what are the top three "must have" elements of a robust stress testing framework? What type of scenarios should the supervisory and company-run stress test consider? What are quantitative approaches to modeling pre-provision net revenue by business line?
Agendaupdated September 17, 2012
Overall Stress Testing Framework
Commercial Real Estate Portfolio
Credit Card Portfolio
|7:30 am||Continental Breakfast|
Market Risk: Trading and Counterparty Risk
Balance Projection and Pre-Provision Net Revenue
Registration for the Stress Testing Model Symposium is closed.
Michael Alix, FRB New York
Michael Alix is a senior vice president and head of the Cross-Firm Perspectives and Analytics Function in the Financial Institutions Supervision Group at the Federal Reserve Bank of New York. This function seeks to inform assessments of business strategies and financial resilience of regulated financial institutions, in part by analyzing supervisory and other data related to risks, performance and capital.
Prior to his current assignment, he was co-head of the Risk and Policy Function, which works with supervisory teams to assess risk management practices and identify and address emerging risks at institutions subject to the FRBNY’s supervision.
He also worked with the bank’s AIG Monitoring Team, focusing on managing the bank’s credit risk to AIG Financial Products and other AIG financial services affiliates.
Before joining the bank in November 2008, he held a variety of risk management positions in the private sector. He served for two years as chief risk officer and, earlier, global head of credit risk management, at Bear Stearns Companies. Earlier in his career, he was chief credit officer for Asia, and a vice president and head of North America financial institutions credit at Merrill Lynch & Co.
Michael holds a B.A. degree from Duke University and an M.B.A degree from the Wharton School of the University of Pennsylvania.
Tim P. Clark, Board of Governors
Tim P. Clark is a Senior Associate Director in the Division of Banking Supervision and Regulation at the Board of Governors. His responsibilities include the supervision of the largest domestic and foreign banking organizations operating in the US, the Federal Reserve's Comprehensive Capital Analysis and Review, and supervisory stress testing.
Patrick de Fontnouvelle, FRB Boston
Patrick de Fontnouvelle is a Vice President in the Supervision, Regulation and Credit Department at the Federal Reserve Bank of Boston. As head of the Bank’s Risk and Policy Analysis Unit, Patrick's responsibilities include: risk modeling and capital assessment, economic research, accounting policy, Money Market Fund policy issues, and Basel II implementation. He has had a longstanding interest in operational and reputational risks, and is currently undertaking research on banks’ dividend policies during the recent financial crisis.
Previously, Patrick held positions as a Financial Economist with the U.S. Securities and Exchange Commission and with General Electric Corporation. He has also taught economics as an Assistant Professor at Iowa State University.
Patrick received his B.A. in mathematics from Princeton University, and his Ph.D. in economics from the University of Wisconsin — Madison.
Kimberly DeTrask, FRB Boston
Kimberly DeTrask is a Vice President in the Supervision, Regulation and Credit department at the Federal Reserve Bank of Boston. Within the Risk and Policy Analysis unit, she has responsibility for teams of specialists covering revenue analysis and forecasting; money market mutual funds; accounting; and capital planning. She is currently a member of the System’s oversight group responsible for supervising the largest, most complex financial institutions and has previously held System leadership positions, including a role in the 2011 and 2012 Comprehensive Capital Analysis and Review (CCAR); the Supervisory Capital Assessment Program (the 2009 bank “stress test”); and as Basel II Risk Co-coordinator. Kimberly has a long history in supervisory efforts related to risk measurement, risk management and capital adequacy, with a focus on wholesale credit risk. Previously, Kimberly taught corporate finance at Boston College.
Kimberly holds a B.A. in mathematics and economics from Canisius College and an M.S. in finance from Boston College; she is also ABD Finance from Boston College. Kimberly is a CFA charterholder.
Paul Huck, FRB Chicago
Paul Huck is an Assistant Vice President and the Director of the Wholesale Credit Risk Center in the Supervision and Regulation department at the Federal Reserve Bank of Chicago. His supervisory responsibilities include managing teams that support supervision of capital adequacy, stress testing, and credit data analytics for wholesale credit exposures. He received a Ph.D. in economics from Northwestern University in 1992. Prior to coming to the Chicago Fed, he taught in the Department of Economics at Wake Forest University in Winston-Salem, North Carolina.
William W. Lang, FRB Philadelphia
William W. Lang administers the Bank’s discount window and oversees community and regional supervision and information systems examinations of banking organizations in the Third Federal Reserve District. His responsibilities cover retail risk analysis and banking surveillance management; capital markets; credit and risk management; staff and career development; community and regional supervision, banking surveillance, enforcement, and information technology; consumer compliance/CRA examinations and consumer complaints; information services and support; strategic planning and budget; regulatory applications; and financial institutions structure.
Prior to joining the Federal Reserve in 2002, Lang served as director for special studies at the Office of the Comptroller of the Currency and was on the faculty of the Rutgers University Department of Economics. He has published numerous articles in leading academic and business journals.
Lang received a Ph.D. in economics from Yale University and a B.A. from the City College of New York. He is a Fellow of the Wharton Financial Institutions Center.
Andreas Lehnert, Board of Governors
Andreas Lehnert is Deputy Director of the Office of Financial Stability Policy & Research at the Federal Reserve Board in Washington, DC. Andreas earned a Ph.D. in economics from the University of Chicago, where he was also a research affiliate at the Joint Center for Poverty Research. In 2006 he was a visiting scholar at the Urban Institute in Washington DC. Andreas joined the Federal Reserve in 1998. His research focuses on banking, consumption, house prices, household credit choices and financial distress, including default, foreclosure and bankruptcy.
Jose A Lopez, FRB San Francisco
Jose A. Lopez is Vice President of the Risk Model Research & Banking Surveillance Group of the Economic Research Department at the Federal Reserve Bank of San Francisco. His primary policy responsibilities are to provide quantitative support and analysis to the Bank’s Division of Banking Supervision and Regulation. He completed his doctoral dissertation in economics at the University of Pennsylvania. His current research focuses on yield curve modeling as well credit risk measurement issues. He has published articles in the Journal of Money, Credit and Banking, the Review of Financial Studies, the Journal of Banking and Finance, the Journal of Financial Econometrics, and the International Journal of Central Banking.
Jim Nolan, FRB Boston
Jim Nolan is the Executive Vice President responsible for the Federal Reserve Bank of Boston's Supervision, Regulation and Credit function, a department of about 212 staff members. In this role, he oversees the supervision of all bank holding companies and state member banks in the First Federal Reserve District. Jim is also responsible for the Reserve Bank's consumer compliance, discount window, statistics, and business continuity functions. Jim joined the Federal Reserve in 1985, and has held a variety of examination and management positions within the Supervision function. Prior to his current position, he was directly responsible for a team focused on the supervision of the District's largest banking organizations, and he shared committee responsibility for overseeing the quality of the Federal Reserve System's supervision program for the largest banking organizations doing business in the United States.
Jim earned his B.A. from Harvard College and a Masters of Business Administration from Babson College. He is also a graduate of the Stonier Graduate School of Banking.
Lisa Ryu, Board of Governors
Lisa is an Assistant Director in the Division of Banking Supervision and Regulation at the Federal Reserve Board and heads the Board’s stress -testing group. She also leads the Federal Reserve System-wide efforts on stress testing and chairs the Dodd-Frank Act Stress Test Implementation Group. During the recent Comprehensive Capital Analysis and Review exercise, she oversaw the supervisory stress-testing component of the exercise as the chair of the Model Oversight Group. Prior to joining the Federal Reserve Board, Lisa was Chief of the Large Bank Pricing group and Senior Economist at the Federal Deposit Insurance Corporation (FDIC). In that capacity, she was involved in a wide range of key policy initiatives during the recent financial crisis and served as FDIC lead on the Interagency Oversight Group for the Supervisory Capital Assessment Program (SCAP) in 2009.
Todd Vermilyea, Board of Governors
Todd Vermilyea is a Senior Associate Director in the Division of Banking Supervision and Regulation. Todd serves as the Division’s Head of Risk, responsible for the Division’s risk and surveillance functions. In this role, he facilitates supervisory risk monitoring across the Federal Reserve System to promote consistent views of risk and their translation to policy formulation and supervisory activities.
Previously, Todd was employed at the Federal Reserve Bank of Philadelphia, where he oversaw both the Retail Risk Analysis and Banking Surveillance Units. Todd joined the Philadelphia Reserve Bank in 2002 as a supervisory economist and previously worked as a national bank examiner with the Office of the Comptroller of the Currency. He has a Ph.D. in economics and a bachelor’s degree in business administration from the University of South Carolina.
List of Recommended Hotels
Please note that hotel rooms at this time of year are booking up quickly due to the holidays and back to school. It is best to reserve your hotel room as early as possible.
CLUB QUARTERS BOSTON
161 Devonshire Street
Boston, MA 02110
Distance from Fed: .06 miles
Local phone number: 617-357-6400
Guest fax number: 617-357-6462
Hotel web site: www.clubquarters.com
MILLENNIUM BOSTONIAN HOTEL
26 North St.
Boston, MA 02109
Distance from Fed: .05 mile
Local phone number: 617-523-3600
Guest fax number: 617-523-2454
Hotel web site: www.millenniumhotels.com
HYATT REGENCY BOSTON
One Avenue de Lafayette
Boston, MA 02111
Distance from Fed : .04 mile
Local phone number: 617-912-1234
Guest fax number:
Hotel web site: www.hyattregency.com
HILTON FINANCIAL DOWNTOWN
89 Broad St
Distance from Fed: .09 mile
Local phone number: 617-556-0006
Guest fax : 617-556-0053
Hotel web site: www.hilton.com
510 Atlantic Avenue
Boston, MA 02110
Walking Distance from FED: .01 mile
Local phone number: 617-747-1000
Guest fax number: 617-217-5190
Hotel web site: www.intercontinentalboston.com
THE LANGHAM BOSTON
250 Franklin St.
Boston, MA 02110
Distance from FED: .03 mile
Local phone number: 617-451-1900
Guest fax number: 617-423-2844
Hotel web site: www.Bostonlanghamhotels.com
MARRIOTT COURTYARD BOSTON TREMONT
275 Tremont Street
Distance from Fed: .09 mile
Local phone number: 617-426-1400
Guest fax number: 617-482-6730
Hotel web site: www.courtyardbostontremont.com
Dress code for the Stress Testing Model Symposium is Business Casual.
All guests will be required to present a valid form of identification at security.